ARVAG (AUTOMATIC NONUNIFORM RANDOM
VARIATE GENERATION)
is a mathematical research project at the
Institute for Statistics of the
Vienna University of Economics and Business Administration.
Purpose of this project is the development of theory and algorithms for
universal methods of nonuniform random variate generation.
Such algorithms have two advantages compared to generators that are
designed and taylored for some particular distribution:
- Automatic methods work for a large class of distributions.
- Their properties are investigated and do not
depend on the distribution; in particular
- (fast) marginal generation times
- quality of the generated random number
- possibility of truncated distributions
- applicable for variance reduction techniques
This website provides references where to find the theory of such algorithms
(see our monograph).
An important part of the project is the development of portable
software which is easy to use.
This project is supported by the
Fonds zur Förderung der wissenschaftlichen Forschung / Austrian Science Fund
(FWF) (projects 12805-N12 and 16767-N12) and
by the Austrian Academy of Science, APART-scholarship.
About Our Project
